Daily Summary — Sep 09, 2026
Measures short-term options volatility structure, correlation stress, and market breadth to identify tactical execution risk.
Monitors cross-asset rate, curve, and funding plumbing dynamics to detect systemic liquidity freezes.
Tracks institutional futures leverage and credit spreads to quantify forced unwind and de-leveraging capacity.
Pre-confirmation breadth: 2 asset-class buckets above their own stress gate (Credit Vol & Spreads + Breadth & Positioning) while both headline gauges still read NORMAL / NORMAL. Fused 4,688 RPM (NORMAL), fused composite rising (+620 RPM day-over-day, +1,085 over 5 sessions). Stress is accumulating underneath an unconfirmed composite — position for a regime transition rather than an event. SPX realized vol (1M/3M: 8.5% / 12.6%): 1M is below 3M by 4.1 vol points — short-term vol remains subdued.
Primary Focus: NYSE+Nasdaq Net New 52W Highs−Lows (NETNEWLOWS) at P95 1Y with 1W Δ −648 pts — FRAGILE regime.
Secondary Focus: 30Y – 10Y Treasury Spread (T30Y10Y) at P100 1Y with 1W Δ −6 bps — FLATTENING regime.
Neutral-Deteriorating — Hold gross near benchmark but stop adding risk — the composite is trending up inside the neutral band. Composite rising (+620 RPM day-over-day, +1,085 over 5 sessions). Pre-position hedges now; they get expensive on confirmation.